Hoeffding's inequality for Markov processes via solution of Poisson's equation

Abstract

We investigate Hoeffding's inequality for both discrete-time Markov chains and continuous-time Markov processes on a general state space. Our results relax the usual aperiodicity restriction in the literature, and the explicit upper bounds in the inequalities are obtained via the solution of Poisson's equation. The results are further illustrated with applications to queueing theory and reective diffusion processes.

Keywords

Hoeffding's inequality / Markov process / Poisson's equation

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